Every time I go home, I love to go to the Imax theatre. Jon and I recently went to the BFI Imax to go see 'The Dark Knight Rises' on the biggest screen in Britian, located next to the Waterloo Station. It is advised that you book ahead as they have reserve seats.
Also I recommend the little restaurant, Azurro, built into the arches of the bridge. Great for a bite before or after your show.
Perfect for this time of year when you would rather be inside instead of out.